iwlwifi: mvm: fix unregistration of thermal in some error flows

The call to iwl_mvm_thermal_initialize() was too early in the
function.
Unregister will be performed when goto out_unregister is called,
but as the code was - out_free may be called and leave without
unregistering from thermal.

Signed-off-by: Chaya Rachel Ivgi <chaya.rachel.ivgi@intel.com>
Signed-off-by: Emmanuel Grumbach <emmanuel.grumbach@intel.com>